Details about Roman Kozhan

Access statistics for papers by Roman Kozhan.

Last updated 2014-08-20. Update your information in the RePEc Author Service.

Short-id: pko674

Working Papers

2014

1. Optimal Security Design under Asymmetric Information and Profit Manipulation
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (1)
2. Toxic Arbitrage
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)

2006

3. Multiple Priors And No-Transaction Region
   Working Paper Series, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe View citations (2)

Journal Articles

2013

1. The Skew Risk Premium in the Equity Index Market
   The Review of Financial Studies, 2013, 26, (9), 2174-2203 View citations (102)

2012

2. Execution Risk in High-Frequency Arbitrage
   Management Science, 2012, 58, (11), 2131-2149 View citations (36)
3. The information content of a limit order book: The case of an FX market
   Journal of Financial Markets, 2012, 15, (1), 1-28 View citations (18)

2011

4. Non-additive anonymous games
   International Journal of Game Theory, 2011, 40, (2), 215-230

2010

5. Asymmetric Momentum Effects Under Uncertainty
   Review of Finance, 2010, 15, (3), 603-631 View citations (9)
6. Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
   Studies in Nonlinear Dynamics & Econometrics, 2010, 15, (1), 25 View citations (1)

2009

7. Asset allocation with distorted beliefs and transaction costs
   European Journal of Operational Research, 2009, 194, (1), 236-249 View citations (4)
8. Firms' investment under financial constraints: a euro area investigation
   Applied Financial Economics, 2009, 19, (20), 1611-1624 View citations (4)
9. Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation
   Journal of Economic Dynamics and Control, 2009, 33, (5), 1106-1122 View citations (13)

2008

10. Nash equilibria for games in capacities
    Economic Theory, 2008, 35, (2), 321-331 View citations (4)